In addition to the abovementioned factors, there is a change in breathing pattern. In normal breathing, our inhalations and exhalations are of about equal duration. Underwater, if we do it right, our inhalations are normal or faster than normal, while our exhalations are long and slow. This breathing pattern might have physiological and psychological effects, akin yoga perhaps.
Maybe the effect is caused not by any one factor, but by the fact that the entire experience is so different from "our terrestrial days" (?)